Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1346 |
| Annualized Std Dev | 0.4071 |
| Annualized Sharpe (Rf=0%) | -0.3307 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4086.0000 |
| NAs | 1.0000 |
| Minimum | -0.4025 |
| Quartile 1 | -0.0082 |
| Median | 0.0004 |
| Arithmetic Mean | -0.0002 |
| Geometric Mean | -0.0006 |
| Quartile 3 | 0.0084 |
| Maximum | 0.3343 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0010 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0007 |
| Stdev | 0.0256 |
| Skewness | -1.2309 |
| Kurtosis | 53.2160 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0190 |
| Gain Deviation | 0.0199 |
| Loss Deviation | 0.0232 |
| Downside Deviation (MAR=210%) | 0.0229 |
| Downside Deviation (Rf=0%) | 0.0191 |
| Downside Deviation (0%) | 0.0191 |
| Maximum Drawdown | 0.9756 |
| Historical VaR (95%) | -0.0311 |
| Historical ES (95%) | -0.0598 |
| Modified VaR (95%) | -0.0231 |
| Modified ES (95%) | -0.0231 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2014-09-04 | 2020-03-18 | NA | -0.9756 | 1648 | 1394 | NA |
| 2007-05-14 | 2008-11-21 | 2013-04-11 | -0.6321 | 1489 | 388 | 1101 |
| 2005-08-04 | 2005-12-29 | 2006-11-20 | -0.1898 | 328 | 103 | 225 |
| 2013-05-13 | 2013-11-13 | 2014-06-27 | -0.1625 | 285 | 130 | 155 |
| 2006-12-07 | 2007-01-16 | 2007-02-01 | -0.0887 | 37 | 25 | 12 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 | -0.2 |
| 2005 | 0.1 | 0.5 | -2 | 0.2 | 2.1 | 0 | 1.6 | 0.3 | 1.1 | -0.9 | -1 | 0.2 | 2 |
| 2006 | -0.1 | 0.7 | 1 | 0.3 | 1 | -0.3 | 0.8 | 1 | 1.8 | 1 | 2 | -0.4 | 9.4 |
| 2007 | 1.7 | -0.7 | 1.8 | 0.2 | 0.6 | -1.5 | -1.9 | 2.9 | -1.1 | -0.4 | -0.1 | 0.4 | 1.9 |
| 2008 | 2.3 | -0.5 | 1.3 | 2.5 | 0.8 | -2 | 1.2 | -1.3 | -0.2 | -0.1 | -1.1 | -1.3 | 1.8 |
| 2009 | 0.1 | -1.2 | 1.6 | 4.4 | -2.6 | -6.4 | -1.6 | -3.5 | -3.7 | 0.3 | 0.9 | -0.6 | -12.1 |
| 2010 | -0.1 | -1.6 | 2.9 | 0 | -1 | -1.8 | 1.1 | 0.5 | 0.2 | -0.1 | 0 | 0.3 | 0.3 |
| 2011 | 0 | -0.4 | 1.8 | 0.8 | -0.5 | 0.6 | -0.3 | 0.1 | -0.4 | -2.1 | 0 | -0.5 | -1 |
| 2012 | 0 | 0.8 | -0.2 | -0.3 | -1.9 | 2.3 | 1 | 0.3 | 0 | 0.7 | 0.1 | -0.1 | 2.6 |
| 2013 | 0.5 | 0 | 1.4 | 0.7 | -1.5 | 0.5 | 1.1 | 0.2 | -0.2 | 0 | 0.7 | 0.1 | 3.6 |
| 2014 | 0.5 | 0.8 | 0.5 | 0 | 0.1 | 0 | -0.8 | 0.3 | -1.4 | 0.6 | -5.1 | -0.3 | -4.9 |
| 2015 | -0.1 | 0.2 | -1.8 | -0.1 | -0.6 | 0 | 0.7 | 0.2 | 1 | 1 | 0.1 | 5.3 | 5.8 |
| 2016 | -4.2 | 1.2 | -2 | 0.2 | 1.2 | -0.3 | -2 | 1 | 0.3 | -0.8 | 0.2 | -0.7 | -5.8 |
| 2017 | 3.5 | 0.9 | 1 | 0 | 0.7 | 2.6 | -0.2 | 2.4 | 1.1 | 1.4 | 4 | 0.8 | 19.8 |
| 2018 | 2.2 | -1.3 | 1.3 | 0.3 | 0.4 | 1.5 | 0.8 | -0.6 | 1.6 | 1.2 | 2.1 | 1.5 | 11.5 |
| 2019 | 1.2 | -1.3 | 1.1 | -0.2 | -0.4 | 0.8 | -2 | 1.1 | -1.2 | 1.3 | 0.1 | 0.6 | 1.2 |
| 2020 | -0.9 | -1.9 | -2.4 | -5.5 | 1.4 | -2.2 | -0.7 | -0.7 | -2.1 | -1.5 | -2.8 | -1 | -18.7 |
| 2021 | 0.3 | 5.9 | 1.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-12-23 100 SPY 121. 0.0007 -3.00e-4 0.0221 0.0835 0.101 0.0506 -0.154 GLD 44.3 0.0057 0.0135
2 2004-12-27 100 SPY 121. -0.0021 9.00e-3 0.0176 0.0882 0.0994 0.0505 -0.149 GLD 44.5 0.0047 0.0066
3 2004-12-28 100. SPY 121. 0.0055 1.43e-2 0.0239 0.089 0.105 0.0505 -0.157 GLD 44.4 -0.0025 0.0007
4 2004-12-29 100 SPY 121. 0.0015 8.10e-3 0.0301 0.0851 0.0918 0.0457 -0.158 GLD 43.7 -0.016 -0.0127
5 2004-12-30 100. SPY 121. -0.0019 3.70e-3 0.0275 0.0838 0.0895 0.0442 -0.173 GLD 43.8 0.0039 -0.0043
6 2004-12-31 100. SPY 121. -0.0021 8.00e-4 0.0138 0.0635 0.0862 0.0575 -0.174 GLD 43.8 -0.0007 -0.0106
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
